Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Session Overview
7.2: Liquidity 1: Liquidity in Financial markets
Wednesday, 29/May/2019:
2:00pm - 4:15pm

Session Chair: Loriana Pelizzon, SAFE Goethe University
Location: Room 103


Liquidity provision: Normal times vs Crashes

Ravi Jagannathan1, Loriana Pelizzon2, Ernst Schaumburg3, Mila Getmansky Sherman4, Darya Yuferova5

1Kellogg School of Management, Northwestern University; 2Goethe University Frankfurt - Center of Excellence SAFE and Ca' Foscari University of Venice; 3AQR Capital Management LLC; 4Isenberg School of Management, University of Massachusetts Amherst; 5Norwegian School of Economics, Norway

Discussant: Alexander Chinco (UIUC)

Jagannathan-Liquidity provision-708.pdf

Asset Heterogeneity In Over-The-Counter Markets

Konstantin Milbradt

Northwestern University, United States of America

Discussant: Jeongmin (Mina) Lee (Washington University in St. Louis)

Milbradt-Asset Heterogeneity In Over-The-Counter Markets-774.pdf

The value of ETF liquidity

Marta Khomyn1, Talis Putnins1,2

1University of Technology Sydney, Australia; 2Stockholm School of Economics in Riga

Discussant: Virginia Gianinazzi (Swiss Finance Institute, Universita’ della Svizzera Italiana)

Khomyn-The value of ETF liquidity-645.pdf

Funding Liquidity and Market Liquidity: the Broker-Dealer Perspective

Xing {Alex} Zhou, Marco Macchiavelli

Federal Reserve Board, United States of America

Discussant: Davide Tomio (Darden School of Business - University of Virginia)

Zhou-Funding Liquidity and Market Liquidity-1043.pdf